That's because servers that host websites already contain massive amounts of data. If the settings for every user who came to each website were stored on Web servers, many site servers would quickly run out of storage space. This is why the load is spread out among individual visitors.
WRONG! It's the server (or data mining company) that puts together your activity from the list of sites that have seen the cookie. If your going to have some high-school dropout write the articles make sure at the very least they double check the facts against wikipedia.